As U.S. stock market indices continue to make new highs, there are a number of explanations for this massive move in the past 4 years. But what’s most telling is that global stock market performance …
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Volatility in all asset classes has ticked up in the past week, but the real movement has been outside of the stock world. I discussed in yesterday’s VIX Snapshot some potential reasons why equity volatility …
Continue readingWhile the 3 month volatility in the SPX has been solidly below its 52 week average for all of 2013, the volatility metrics for the other global indices have popped higher on occasion this year. …
Continue readingWith the SPX making a new all-time high today, how has the vol market reacted in the past week? Equity implied volatility is back near the 52 week lows in the U.S., while global equity …
Continue readingCalmer markets have returned. Even though it’s been a low volatility environment for essentially all of 2013, the correlation of volatility has been quite high. That’s to say, vol has risen together for most asset …
Continue readingVolatility in all asset classes finally spiked higher for the first time in 2013. Commodities had been jittery for weeks now, and I kept commenting in this space that I was surprised at how low …
Continue readingIn the last week, the Nikkei is up about 10% while the Yen is down 7%, huge moves once again in Japanese assets. Not surprisingly, implied volatility in Japanese financial markets continues to be priced …
Continue readingThe SPX index is only 15 points from all-time highs, and only down 0.4% this week, but the deterioration in the underlying breadth has been unmistakeable. Here is the total number of new 52 week …
Continue readingAs the market struggles for direction (SPX has closed within 20 points of 1550 for the past month), implied volatility is not moving much either. Last week saw a rise in European assets’ implied volatility, …
Continue readingI mentioned in yesterday’s VIX Futures Snapshot that European asset volatility had increased in the past week, while U.S. volatility measures were still near the lows of the year. Euro Stoxx 50 and DAX index …
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